I did and I could never get it to work. when I put the characters in and tried to use them, I would always get an error.

Perhaps you're not using the correct version of the M.U.G.E.N. engine.
My TMNT characters are only supported on M.U.G.E.N. 1.0. If you're trying to use them in WinMugen, they won't work and the game will crash.